Blackrock Enhanced Correlations

BDJ Fund

USD 8.72 0.04 0.46%

The current 90-days correlation between Blackrock Enhanced Equity and BlackRock Capital Allocation is 0.57 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Blackrock Enhanced moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Blackrock Enhanced Equity moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Blackrock Enhanced Correlation With Market

Poor diversification

The correlation between Blackrock Enhanced Equity and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock Enhanced Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Blackrock Enhanced Equity. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with Blackrock Fund

0.8	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.8	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.8	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.73	EMBAX	Unconstrained Emerging	Pair Corr
0.73	ABNOX	Ab Bond Inflation	Pair Corr
0.91	DODGX	Dodge Stock Fund	Pair Corr
0.9	HWACX	Hotchkis Wiley Value	Pair Corr
0.86	HTD	John Hancock Tax	Pair Corr
0.83	MRCZX	Massmutual Retiresmart	Pair Corr
0.73	MEERX	Massmutual Premier	Pair Corr
0.75	SGDLX	Sprott Gold Equity	Pair Corr
0.87	DBIWX	Dws Global Macro	Pair Corr
0.94	RXRPX	American Funds Retirement	Pair Corr
0.62	HRBDX	Harbor Bond Fund	Pair Corr
0.62	VSGDX	Vanguard Short Term	Pair Corr
0.92	RNCIX	Rivernorth E Opportunity	Pair Corr
0.79	UTF	Cohen And Steers	Pair Corr
0.74	ARBOX	Absolute Convertible	Pair Corr
0.83	DLDFX	Destinations Low Duration	Pair Corr
0.68	PGLSX	Global Multi Strategy	Pair Corr

Moving against Blackrock Fund

0.55	SMPSX	Semiconductor Ultrasector	Pair Corr
0.5	SMPIX	Semiconductor Ultrasector	Pair Corr

Related Correlations Analysis

	BGR	BCAT	BUI	CII	BME	BLW	BOE	ETY	ETJ	BGY
BGR		0.65	0.51	0.28	0.74	0.75	0.58	0.45	-0.12	0.6	BGR
BCAT	0.65		0.36	0.61	0.81	0.76	0.7	0.71	0.21	0.34	BCAT
BUI	0.51	0.36		0.48	0.32	0.26	0.17	0.46	0.4	0.05	BUI
CII	0.28	0.61	0.48		0.51	0.27	0.46	0.94	0.85	-0.34	CII
BME	0.74	0.81	0.32	0.51		0.9	0.7	0.64	0.03	0.52	BME
BLW	0.75	0.76	0.26	0.27	0.9		0.61	0.46	-0.21	0.69	BLW
BOE	0.58	0.7	0.17	0.46	0.7	0.61		0.62	0.12	0.47	BOE
ETY	0.45	0.71	0.46	0.94	0.64	0.46	0.62		0.71	-0.09	ETY
ETJ	-0.12	0.21	0.4	0.85	0.03	-0.21	0.12	0.71		-0.69	ETJ
BGY	0.6	0.34	0.05	-0.34	0.52	0.69	0.47	-0.09	-0.69		BGY
	BGR	BCAT	BUI	CII	BME	BLW	BOE	ETY	ETJ	BGY

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ETY	+ 0.94	CII
BLW	+ 0.9	BME
ETJ	+ 0.85	CII
BME	+ 0.81	BCAT
BLW	+ 0.76	BCAT
BLW	+ 0.75	BGR

High negative correlations

BGY	- 0.69	ETJ
BGY	- 0.34	CII
ETJ	- 0.21	BLW
ETJ	- 0.12	BGR
BGY	- 0.09	ETY

Risk-Adjusted Indicators

There is a big difference between Blackrock Fund performing well and Blackrock Enhanced Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Blackrock Enhanced's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BGR	0.75	0.13	0.15	0.30	0.71	(0.83)	1.50	(1.27)	4.09
BCAT	0.60	(0.04)	0.00	(0.09)	0.00	0.00	1.14	(1.33)	4.22
BUI	0.79	0.01	0.01	0.05	1.05	(0.75)	1.81	(1.61)	4.21
CII	0.77	(0.06)	0.00	(0.08)	0.00	0.00	1.54	(1.82)	4.39
BME	0.62	0.06	0.08	0.12	0.65	(0.69)	1.15	(1.29)	3.50
BLW	0.34	0.01	0.02	0.08	0.41	(0.36)	0.85	(0.64)	2.28
BOE	0.56	0.02	0.03	0.05	0.72	(0.60)	0.99	(1.24)	3.79
ETY	0.73	(0.02)	0.00	(0.03)	0.00	0.00	1.44	(1.68)	5.10
ETJ	0.63	(0.07)	0.00	(0.12)	0.00	0.00	1.22	(1.25)	4.67
BGY	0.82	0.11	0.08	0.20	1.15	(0.81)	1.76	(1.83)	5.79

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